Kenny. He had what he thought as the most important thing in the world... and the next moment that world crumbled right before his eyes. Knowing how much family meant for him... just damn.

The Stranger. He really lost it all. Even his sanity. Jolene fits this too.

Clementine. She was left to fend for herself, went through a lot of mentally painful things and then when she had bonded with someone who she saw as a protector and a father figure, she lost him too and was left alone again. Damn.

Lee found out that his parents died in Episode 1 and had to kill his brother in the same episode. Clementine saw Duck, Carley AND Doug die, her parents undead, either left Lee or had to kill him. Kenny lost his wife and kid in one episode, and had to go through a bunch of crap to get to where he is now.